The login on inbox has to do with a bug that got introduced recently (by Crast, Billmaan) when we cut some session use for anon users. The bug is fixed in trunk, it just haven't been merged to live yet.
Messenger doesn't require extra login, never did, only harmful actions such as modifying your account details or accessing the admin does. Because of the bug, it doesn't reqister you as logged in on the first request to the page, resulting in the login request.
Regarding the lack of the U2U link, that got taken out when a certain designer decided mess with the forum layout way back, and never got re-added.
Update: Deployed the fix. STFU Billmaan.
<Bill_> it really, really hurts to say this
<Bill_> really
<Bill_> but prencher, you were right